績效評判的一種標準: CTA Industry Performance

我的2013年度績效檢討用了兩個CTA基金來當高標(Winton)與低標(Aspect), 其實CTA (Commodity Trading Advisor) 這一行也有1個衡量績效的工業標準 --- Altegris 40 Index^SM
The Altegris 40 IndexSM tracks the performance of the 40 leading Managed Futures programs as tracked by Altegris Clearing Solutions each month. The Index, which has been active since January 1990, has been quoted in such publications as The Wall Street Journal, Chicago Tribune, Alternative Investment Management Association, and Financial Times, among others.

自有資金操作的績效可以選擇和Altegris 40 IndexSM比較看看, 類似我這樣把它擺在最右欄...

觀察最上圖歷年的基金工業標準, 明顯可見自2008年金融海嘯後, 市場生態應該確定有所改變, 因為連號稱專業的這些外國Hedge Fund, 都不像2008年之前地好獲利了

How is the Altegris 40 Index Constructed?

Each month Altegris ranks our proprietary database of over 500 Commodity Trading Advisor (CTA) programs to find the top 40 composite CTA programs based on ending monthly equity for the previous month. Altegris then calculates the dollar-weighted average performance of those 40 CTA programs for the monthly Altegris 40 Index performance. There are no limits as to the number of composite programs that individual CTAs may have in the Altegris 40 Index in any given month.

The Altegris 40 Index is constructed based on current performance information obtained by Altegris for Index constituents. Altegris will evaluate and make any potential edits to the Index only at the time that new or different information about Index constituents becomes available. Index revisions arising from revisions to the historical track record of an existing Index constituent will typically be limited to the current calendar year, or a maximum of 6 months of Index data.